For the multivariate COGARCH process, we obtain explicit expressions for second-order structure of “squared returns” process observed on an equidistant grid. Based this, present a generalized method moments estimator its parameters. Under appropriate moment and strong mixing conditions, show that resulting is consistent asymptotically normal. Sufficient conditions mixing, stationarity identifia...

In this article, we consider a non-parametric Bayesian approach to multivariate quantile regression. The proposed involves modeling of related conditional distributions response vector given the covariates using Dependent Dirichlet Process (DDP) prior. DDP is used introduce dependence across covariates. flexible covariate-dependent mixture Gaussian kernels gives rise an induced posterior for de...